Order Entry V2 Websocket - Mass Order Cancel

1

header

2

→ applicationName

Application Name

String

REQUIRED

Identifies the application generating the message.

3

→ applicationVendor

Application Vendor

String

REQUIRED

Identifies the vendor of the application generating the message.

4

→ applicationVersion

Application Version

String

REQUIRED

Identifies the version of the application generating the message.

5

→ messageType

Message Type

MessageType

• ORDCXLM (Mass Order Cancel)

REQUIRED

6

→ requestId

Request ID

String

REQUIRED

A unique identifier for the request provided by the client for correlation.

7

→ sentTime

Sent Time

DateTime

REQUIRED

Timestamp of the message leaving the producing application.

8

payload

9

→ customerAccountId

Customer Account ID

String

• Length: 1 - 12

REQUIRED

10

→ durationType

Duration Type

OrderDurationType

• DAY (Day) - Order expires at the end of the trading day.

• GOOD_TILL_CANCEL (Good till Cancel) - Order remains working until cancelled

• GOOD_TILL_DATE (Good till Date) - Order remains working until the end of the trading session of the local market date specified in the ExpirationDate field.

OPTIONAL

11

→ entityScope

Entity Scope

OrderEntityScope

• CUSTOMER_ACCOUNT (Customer Account)

• OPERATOR (Operator)

OPTIONAL

12

→ executingFirmId

Executing Firm ID

String

• Length: 1 - 10

REQUIRED

13

→ glbxGroupId

Globex Group ID

String

CONDITIONAL

Support for single Globex Group ID is offered today

Criteria

• ALWAYS when payload.instrumentScope = PRODUCT_GROUP

14

→ glbxSecurityId

Globex Security ID

Integer

CONDITIONAL

Criteria

• ALWAYS when payload.instrumentScope = INSTRUMENT

15

→ instrumentScope

Instrument Scope

OrderInstrumentScope

• ALL (All)

• INSTRUMENT (Instrument)

• MARKET_SEGMENT (Market Segment)

• PRODUCT_GROUP (Product Group)

REQUIRED

16

→ manualInd

Manual Indicator

YesNoIndicator

• NO (No) - No

• YES (Yes) - Yes

REQUIRED

Indicates whether the order was generated by automated trading logic.

17

→ marketSegmentId

Market Segment ID

Integer

CONDITIONAL

Criteria

• ALWAYS when payload.instrumentScope = MARKET_SEGMENT

18

→ operatorId

Operator ID

String

• Length: 1 - 18

REQUIRED

19

→ senderCountry

Sender Country

String

• Length: 1 - 2

REQUIRED

20

→ senderState

Sender State

String

• Length: 2 - 2

OPTIONAL

21

→ sideInd

Side Indicator

MarketSideIndicator

• BUY (Buy) - Identifies a buy side order

• CROSS (Cross)

• SELL (Sell) - Identifies a sell side order

OPTIONAL

22

→ type

Type

OrderType

• LIMIT (Limit) - A Limit order defines the upper price limit at which to buy an instrument and lower price limit at which to sell an instrument. The price limit is defined in the Price field. If the price is not immediately available, the Limit order will rest until filled or cancelled.

• STOP_LIMIT (Stop Limit) - A Stop order is an order which, when accepted, does not immediately go on the book, but must be "triggered" by a trade in the market at the price level submitted with the order. A Stop-Limit order goes on the book as a Limit order once triggered.

OPTIONAL

1

header

2

→ messageType

Message Type

messageType

• ORDSTS (Order Status)

ALWAYS

3

→ possibleRetransInd

Possible Retransmission Indicator

yesNoIndicator

• NO (No) - No

• YES (Yes) - Yes

OPTIONAL

4

→ reportId

Report ID

string

ALWAYS

5

→ requestId

Request ID

string

ALWAYS

A unique identifier for the request provided by the client for correlation.

6

→ responseCount

Response Count

int32

ALWAYS

7

→ responseLastFragmentInd

Response Last Fragment Indicator

yesNoIndicator

• NO (No) - No

• YES (Yes) - Yes

OPTIONAL

8

→ sentTime

Sent Time

dateTime

ALWAYS

Timestamp of the message leaving the producing application.

9

→ sequenceNbr

Sequence Number

string

ALWAYS

10

payload

11

→ action

Action

orderAction

• CANCEL_MASS (Mass Cancel)

ALWAYS

12

→ durationType

Duration Type

orderDurationType

• DAY (Day) - Order expires at the end of the trading day.

• FILL_AND_KILL (Fill and Kill) - Order is immediately executed against any available quantity and any remaining quantity is eliminated

• FILL_OR_KILL (Fill or Kill) - Order is filled completely or else eliminated

• GOOD_TILL_CANCEL (Good till Cancel) - Order remains working until cancelled

• GOOD_TILL_DATE (Good till Date) - Order remains working until the end of the trading session of the local market date specified in the ExpirationDate field.

OPTIONAL

13

→ manualInd

Manual Indicator

yesNoIndicator

• NO (No) - No

• YES (Yes) - Yes

ALWAYS

Indicates whether the order was generated by automated trading logic.

14

→ marketSegmentId

Market Segment ID

int32

ALWAYS

15

→ orderKeys[]

16

→ → canceledQtyInt

Canceled Quantity Int

int32

ALWAYS

17

→ → customerOrderId

Customer Order ID

string

ALWAYS

18

→ → venueOrderId

Venue Order ID

string

ALWAYS

19

→ senderCountry

Sender Country

string

ALWAYS

20

→ senderState

Sender State

string

OPTIONAL

21

→ sideInd

Side Indicator

marketSideIndicator

• BUY (Buy) - Identifies a buy side order

• CROSS (Cross)

• SELL (Sell) - Identifies a sell side order

OPTIONAL

22

→ transactionTime

Transaction Time

dateTime

ALWAYS

23

→ type

Type

orderType

• LIMIT (Limit) - A Limit order defines the upper price limit at which to buy an instrument and lower price limit at which to sell an instrument. The price limit is defined in the Price field. If the price is not immediately available, the Limit order will rest until filled or cancelled.

• MARKET (Market) - A Market order with protection is filled within a pre-defined range of prices referred to as the protected range. For buy orders, protection points are added to the current best offer price to calculate the protection price limit. For sell orders, protection points are subtracted from the current best bid price.

• MARKET_TO_LIMIT (Market to Limit) - A Market-limit order is executed at the best price available in the market. If the market-limit order can only be partially filled, the order becomes a limit order and the remaining quantity remains on the order book at the specified limit price.

• STOP (Stop) - A Stop order is an order which, when accepted, does not immediately go on the book, but must be "triggered" by a trade in the market at the price level submitted with the order. A Stop order goes on the book as a Market order once triggered.

• STOP_LIMIT (Stop Limit) - A Stop order is an order which, when accepted, does not immediately go on the book, but must be "triggered" by a trade in the market at the price level submitted with the order. A Stop-Limit order goes on the book as a Limit order once triggered.

OPTIONAL

1

errors[]

2

→ code

Code

string

ALWAYS

3

→ message

Message

string

ALWAYS

4

→ referenceField

Reference Field

string

OPTIONAL

5

header

6

→ messageType

Message Type

messageType

• ORDCXLMRJ (Mass Order Cancel Reject)

ALWAYS

7

→ requestId

Request ID

string

ALWAYS

A unique identifier for the request provided by the client for correlation.

8

→ sentTime

Sent Time

dateTime

ALWAYS

Timestamp of the message leaving the producing application.

9

→ sequenceNbr

Sequence Number

string

ALWAYS

10

payload

11

→ transactionTime

Transaction Time

dateTime

OPTIONAL